Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity
Year of publication: |
2015
|
---|---|
Authors: | Grobys, Klaus |
Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 48.2015, 3, p. 1189-1202
|
Publisher: |
Department of Economics and Finance Research and Teaching |
Subject: | Asymmetric heteroskedasticity | Serial correlation | Wild bootstrap | HCCME-based LM test | Simulation |
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